Uncertainty and Risk in Financial Instrument Valuation

Andrew Taddei leads the Valuation Advisory and Risk Solutions department at SitusAMC, which provides institutions of all types with independent valuation advisory, risk management and ALM solutions across a spectrum of financial instruments and illiquid assets, supporting financial reporting, as well as transactional, regulatory, and risk applications—valuing approximately $100B of loans and 6,000 securities each month. He is currently a member of the AICPA’s Financial Instruments Task Force. Previously, as global practice leader of the Complex Asset Solutions group at Duff & Phelps, he was responsible for valuation and risk advisory for financial instruments for which there are limited or no active markets. As financial advisor to the Lehman Bankruptcy Examiner, Mr. Taddei used partial information to reverse engineer Lehman’s last two years of risk-taking and risk management activities; he was lead analyst on the investigation of Lehman’s use of “Repo 105” secured financing transactions. At Alpha Financial Technologies & EAM Partners, Mr. Taddei designed applications for and marketed actively managed financial and commodity futures strategies, as well as algorithm-based trend-following alpha strategies. Earlier in his career, as a Senior Managing Director at Bear Stearns, Mr. Taddei developed and distributed funding agreement backed securities and bank Capital Securities, designed the Bear Stearns capital structuring model (a probabilistic portfolio approach for corporate issuers), created its bank risk based capital model, and developed regulatory capital-efficient securitization and hedging strategies for banks and insurers utilizing traditional securitization and synthetic technology. He was responsible for fixed income regulatory, accounting and reporting research, monitoring market issues and developing attendant portfolio and balance sheet strategies. Andrew participated on behalf of Bear Stearns in comment processes, advising federal banking regulators and accounting standard setters on capital markets issues—in this capacity he contributed to Bond Market Association, ISDA, and American and European Securitization Forum initiatives. Published in the Handbook of Mortgage Backed Securities, the Financial Managers Statement, and The Financier, Mr. Taddei is a contributor to and a member of the Advisory Board of The Securitization Conduit, an international publication focusing on the analysis, design and execution of securitization transactions. Mr. Taddei is also a member of the Advisory Committee to the Business Department at Citytech, CUNY.